CME FX Volumes Drop in August

The continuation of relatively calm FX markets in August saw volumes dip at CME Group across both its listed and OTC business, with the former hitting its lowest levels since August 2021.

EBS average daily volume was $55.4 billion in August, a very slight dip from July by 1.2%, but down 22.7% year-on-year. By comparison, Euronext FX saw a greater monthly drop and similar annual decline, while CboeFX was up on the month fractionally and down 8.4% year-on-year. This was EBS’ lowest ADV since May 2024 as the platform has ridden the wave of volatility to hit markets.

As an indicator of the decline in volatility, CME’s volatility index (CVOL) for G5 was 8.03 in August, having averaged 9.5 for the first half of the year. In July it was 8.5. This decline was reflected in CME’s volumes across its FX futures and options suite, where notional ADV dropped to $58 billion per day – as noted, the lowest it has been since August 2021. While notional volumes were similar across those two months, in contract terms, volume was higher than August 2021, by some 46,000 contracts per day.

A couple of minor contracts saw good volume increases, BRL up 13% to $600 million and INR up 17% to $72 million, while CME says it had strong open interest in EUR at $121 billion and JPY at $30 billion. Most of the decline was in futures, CME says options volumes were “down slightly” on August 2024.

The slowdown in activity was also registered on FX Link, the Merc’s FX basis product that is integral to its new venue FX Spot+. ADV on FX Link dropped 38.7% to $2.3 billion, this is also down 56.9% year-on-year and is the lowest recorded by the mechanism this year.